Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 2 2
Score -8 -5.79 -8.2
Market Cap (Millions USD) 1714.58 1372.52 1408.71
Predicted Beta 0.36 0.35 0.35
Idiosyncratic Volatility 2.43 2.66 3.28

Annualized return and volatility

ILF
Annualized Return 0.1016
Annualized Std Dev 0.3122
Annualized Sharpe (Rf=0%) 0.3255

Row

Daily Return Statistics

ILF
Observations 4650.0000
NAs 464.0000
Minimum -0.1947
Quartile 1 -0.0091
Median 0.0008
Arithmetic Mean 0.0006
Geometric Mean 0.0004
Quartile 3 0.0105
Maximum 0.2625
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0011
Variance 0.0004
Stdev 0.0197
Skewness 0.1984
Kurtosis 14.1432

Downside Risk

ILF
Semi Deviation 0.0141
Gain Deviation 0.0141
Loss Deviation 0.0148
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0138
Downside Deviation (0%) 0.0138
Maximum Drawdown 0.6748
Historical VaR (95%) -0.0295
Historical ES (95%) -0.0454
Modified VaR (95%) -0.0250
Modified ES (95%) -0.0250
From Trough To Depth Length To Trough Recovery
2008-05-20 2008-11-20 NA -0.6748 2972 133 NA
2002-04-18 2002-09-30 2003-12-01 -0.4199 419 117 302
2006-05-10 2006-06-13 2006-11-29 -0.2984 144 24 120
2004-04-06 2004-05-10 2004-09-16 -0.2276 115 25 90
2007-07-24 2007-08-16 2007-09-26 -0.2225 47 18 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ILF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA 1.5 0.0 0.0 1.5
2002 0.9 1.9 1.4 -0.4 0.0 -2.7 -1.7 0.0 2.7 0.8 0.0 0.0 2.7
2003 0.0 0.0 1.1 -0.1 0.0 1.3 -1.5 0.0 2.6 0.0 3.2 0.0 6.7
2004 0.0 3.3 1.8 0.0 -0.4 0.4 0.0 -0.1 2.4 0.8 1.6 0.0 10.2
2005 1.4 -1.3 1.1 0.0 1.0 0.5 1.9 1.3 0.0 1.1 3.3 0.0 10.8
2006 -0.4 2.8 0.0 0.7 3.0 0.0 -1.4 2.1 0.0 0.0 -1.2 0.0 5.6
2007 1.0 -1.1 0.0 0.1 3.2 0.0 -0.9 0.0 4.0 -2.7 0.0 0.0 3.5
2008 1.7 0.0 3.8 1.3 0.0 -2.2 -2.5 0.0 -1.2 0.0 -9.8 0.0 -9.1
2009 0.0 0.0 3.6 3.4 4.0 1.0 0.0 -2.9 -2.6 0.0 2.5 0.0 9.0
2010 3.6 1.0 1.8 0.0 -0.5 1.1 0.0 3.5 1.0 0.9 1.9 0.0 15.2
2011 2.4 -1.3 1.5 0.0 -2.1 1.4 0.2 0.7 0.0 -2.9 0.4 0.0 0.2
2012 2.3 1.8 0.0 0.7 -2.4 0.0 -0.3 0.0 0.9 1.5 0.0 0.0 4.6
2013 0.8 0.1 -0.9 -1.5 0.0 0.3 1.7 0.0 1.5 -0.4 0.0 0.0 1.7
2014 0.0 0.0 0.5 0.1 0.0 0.5 0.2 0.0 -3.0 0.0 -3.3 0.0 -4.9
2015 0.0 0.0 3.1 0.3 0.1 -1.4 0.0 -3.8 0.0 0.0 1.0 0.0 -0.8
2016 0.1 4.2 1.0 0.0 1.2 0.8 -1.7 0.4 0.0 -3.0 -3.7 0.0 -0.9
2017 0.7 2.7 0.0 0.7 -0.2 0.0 0.6 1.4 0.0 -0.4 1.0 0.0 6.5
2018 0.8 0.0 0.0 -1.4 0.3 0.0 -1.1 0.0 0.5 3.0 0.0 0.0 2.1
2019 -0.3 -1.1 1.7 -1.7 0.0 0.5 -1.5 0.0 -0.9 1.9 0.0 0.1 -1.4

Row

Rolling Performance Chart

Snail Trail Chart